Stochastic Limit Theory: An Introduction for Econometricians

Sprache: Englisch

Verlag: Oxford University Press, 1994

0198774036 / 9780198774037

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This is a survey of the recent developments in the rapidly expanding field of asymptotic distribution theory, with a special emphasis on the problems of time dependence and heterogeneity. The book is designed to be useful on two levels. First as a textbook and reference work, giving definitions of the relevant mathematical concepts, statements, and proofs of the important results from the probability literature, and numerous examples; and second, as an account of recent work in the field of particular interest to econometricians, including a number of important new results. It is virtually self-contained, with all but the most basic technical prerequisites being explained in their context; mathematical topics include measure theory, integration, metric spaces, and topology, with applications to random variables, and an extended treatment of conditional probability. Other subjects treated include: stochastic processes, mixing processes, martingales, mixingales, and near-epoch dependence; the weak and strong laws of large numbers; weak convergence; and central limit theorems for nonstationary and dependent processes. The functional central limit theorem and its ramifications are covered in detail, including an account of the theoretical underpinnings (the weak convergence of measures on metric spaces), Brownian motion, the multivariate invariance principle, and convergence to stochastic integrals. This material is of special relevance to the theory of cointegration.…

Bestandsnummer des Verkäufers CIN0198774036G

Titel
Stochastic Limit Theory: An Introduction for Econometricians
Autor
James Davidson
Verlag
Oxford University Press
Veröffentlichungsjahr
1994
Zustand
Good
Einband
Paperback
Sprache
Englisch
ISBN-10
0198774036
ISBN-13
9780198774037

World of Books Inc

Montgomery, IL, USA

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AbeBooks-Verkäufer/-in seit 23. März 2026

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